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Entropy martingale optimal transport and nonlinear pricing-hedging duality
Doldi, Alessandro; Frittelli, Marco - In: Finance and stochastics 27 (2023) 2, pp. 255-304
Persistent link: https://www.econbiz.de/10014253636
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On entropy martingale optimal transport theory
Doldi, Alessandro; Frittelli, Marco; Rosazza Gianin, … - In: Decisions in economics and finance : a journal of … 47 (2024) 1, pp. 1-42
Persistent link: https://www.econbiz.de/10015044783